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I was actually looking for a script available on the Net somewhere already. Although it'd be good practice, I don't have the time right now to sit down and write a script for this - albeit it being simple.

First, you need to place all the movie/music clips in a different directory, such as http://domain.com/clips/ - after you've done that, create a .htaccess file and upload it to the directory where the clips are.

After uploading this to the clips directory, the webserver will check HTTP_REFERER environmental variable for every request to the files in the clips directory and if it doesn't begin with http://yoursite.com or http://www.yoursite.com, the user will be redirected to the URL specified in RewriteRule (in this case, http://www.yoursite.com/unauthorized.html).

For more information I suggest to do a search at Google for search phrases "mod rewrite" and "htaccess rewrite" for more information.